Transparent BSDF not working
It looks like you're viewing this in "Look Dev" (also called "Material Preview") mode:



That uses the realtime Eevee shader, even if you've selected Cycles as your main rendering engine.  Click on the little sphere to the right of the selected one for "Rendered" view, and that will probably fix the problem.

You can use transparency in Eevee, too, but it requires an extra setting.  You'll need the following steps:


Temporarily switch your rendering engine to Eevee.
With the transparent object selected, click on its material tab and scroll down to "Settings".  You should see a "Blend mode" setting.  (This will only appear if you've switched your rendering engine to Eevee first.)
Change the "Blend mode" to "Alpha blend" (or "Alpha hash" or "Alpha clip" -- see the manual for details).
Now you can change your rendering engine back to Cycles.


The transparency should now work both in Look Dev ("Eevee") and Rendered ("Cycles").